Only used MySQL a few times on Linux, but i'm not aware of any specific problems connecting to it. Haven't really used the DataAdapterWizard either so can't really comment, but I would guess it's fairly straight forward.

The usual things to look out for are firewalls and port numbers, but as long as you're using the defaults you should be ok.

If you run into any problems just post them here and we'll be happy to help you troubleshoot.